Basically different mechanisms of optical second harmonic generation (SHG) in semiconductors, induced by an external magnetic field H, have been identified experimentally by studying the diluted magnetic semiconductor (Cd,Mn)Te. For paramagnetic (Cd,Mn)Te the SHG response is governed by spin quantization of electronic states, in contrast with diamagnetic CdTe with its dominating orbital quantization. The mechanisms can be identified by the distinct magnetic field dependence of the SHG intensity which scales with the spin splitting in the paramagnetic case as compared to the H2 dependence observed for the diamagnetic case.